Do Investors Overweight Personal Experience? Evidence from IPO Subscriptions

• 成果类型: Article
• 署名作者: Kaustia, Markku; Knuepfer, Samuli
• 署名单位: Aalto University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01411.x
• 发表日期: 2008
• 页码: 2679-2702
• 关键词: Consumer confidence; Sentiment; MARKET; INFORMATION; games; overconfidence; reinforcement; performance; PSYCHOLOGY; BEHAVIOR

摘要

We find a strong positive link between past IPO returns and future subscriptions at the investor level in Finland. Our setting allows us to trace this effect to the returns personally experienced by investors; the effect is not explained by patterns related to the IPO cycle, or wealth effects. This behavior is consistent with reinforcement learning, where personally experienced outcomes are overweighted compared to rational Bayesian learning. The results provide a microfoundation for the argument that investor sentiment drives IPO demand. The paper also contributes to understanding how popular investment styles develop, and has implications for the marketing of financial products.